This is mostly separate to the PDS - Bluesky is more like the client here (albeit, they also currently run the PLC service). It’s part of your DID document which they manage for you mostly, but there’s ways to take ownership of your PLC DID - see Dan’s links for that.

For our non-atproto uses of the PLC directory, we have similar needs, and we’ll likely let users provide their own public key before we create their document to help solve this. We have a technical audience though, so that solution may not make sense for Bluesky - but there’s a lot of people thinking about how to improve this in the atmosphere.